Um, yes - it is the default solver option. So if you have done a CFX simulation you have used a multigrid method.

Thanks. But it seems not work very well. Because from my experience, if we do the multigrid manually, (Run the simulation for the coarse mesh firstly, then come to fine mesh with the result of coarse mesh simulation as the initial value file.), it converges much faster.

To clarify, the linear solver in CFX uses algebraic multigrid which works on the coefficient matrix directly rather than a hierarchy of grids. As Glenn said it is the default solver and should work quite well in practically all cases. Manually transferring between grids is unlikely to be helpful.